Cointegration - vec - restrictions on trend in CE....?
Posted: Fri Apr 15, 2011 6:47 am
i am trying to apply a restriction on the deterministic trend in the cointegrating vector, i.e., i have estimated a VEC model using johansens alternative 4 (intercept and trend in CE).
VEC restrictions on the alpha or beta matrix can be imposed, but only on the coefficients related to included variables, it is not possible to impose a restriction on the deterministic trend in the cointegrating equation. How can i impose such a restriction ?
VEC restrictions on the alpha or beta matrix can be imposed, but only on the coefficients related to included variables, it is not possible to impose a restriction on the deterministic trend in the cointegrating equation. How can i impose such a restriction ?